VERO BEACH, Fla., Sept. 14, 2017 (GLOBE NEWSWIRE) -- Orchid Island Capital, Inc. (the "Company") (NYSE:ORC) announced today that the Board of Directors declared a monthly cash dividend for the month of September 2017. The dividend of $0.14 per share will be paid October 10, 2017, to holders of record on September 29, 2017, with an ex-dividend date of September 28, 2017.

The Company intends to make regular monthly cash distributions to its stockholders. In order to qualify as a real estate investment trust ("REIT"), the Company must distribute annually to its stockholders an amount at least equal to 90% of its REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gain. The Company will be subject to income tax on taxable income that is not distributed and to an excise tax to the extent that a certain percentage of its taxable income is not distributed by specified dates. The Company has not established a minimum distribution payment level and is not assured of its ability to make distributions to stockholders in the future.

As of September 14, 2017, the Company had 45,303,821 shares outstanding. At June 30, 2017, the Company had 45,299,812 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of August 31, 2017 are presented below. These figures are preliminary and subject to change. The information contained herein is an intra-quarter update created by the Company based upon information that the Company believes is accurate:

RMBS Valuation Characteristics

RMBS Assets by Agency

Investment Company Act of 1940 (Whole Pool) Test Results

Repurchase Agreement Exposure by Counterparty

RMBS Risk Measures

About Orchid Island Capital, Inc.

Orchid Island Capital, Inc. is a specialty finance company that invests in Agency RMBS that are either traditional pass-through Agency RMBS or structured Agency RMBS. Orchid Island Capital, Inc. has elected to be taxed as a REIT for federal income tax purposes.

Forward-Looking Statements

This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company's distributions. These forward-looking statements are based upon Orchid Island Capital, Inc.'s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer to the "Risk Factors" section of the Company's Form 10-K for the year ended December 31, 2016.

RMBS Valuation Characteristics

($ in thousands)

Percentage

Weighted

Realized

Current

Fair

Current

of

Average

Aug 2017 CPR

Asset Category

Face

Value(1)

Price

Portfolio

Coupon

(Reported in Sep)

As of August 31, 2017

Adjustable Rate RMBS

$

1,801

$

1,916

$

106.38

0.05

%

3.55

%

51.67

%

10-1 Hybrid Rate RMBS

41,293

42,474

102.86

1.07

%

2.55

%

3.63

%

Hybrid Adjustable Rate RMBS

41,293

42,474

102.86

1.07

%

2.55

%

3.63

%

15 Year Fixed Rate RMBS

41,541

43,943

105.78

1.10

%

3.50

%

8.41

%

20 Year Fixed Rate RMBS

284,813

304,263

106.83

7.63

%

4.00

%

2.78

%

30 Year Fixed Rate RMBS

3,171,935

3,445,250

108.62

86.43

%

4.45

%

7.76

%

Total Fixed Rate RMBS

3,498,289

3,793,456

108.44

95.16

%

4.41

%

7.36

%

Total Pass-through RMBS

3,541,383

3,837,846

108.37

96.28

%

4.39

%

7.34

%

Interest-Only Securities

765,748

91,684

11.97

2.30

%

3.75

%

15.22

%

Inverse Interest-Only Securities

361,407

56,698

15.69

1.42

%

4.44

%

10.72

%

Structured RMBS

1,127,155

148,382

13.16

3.72

%

4.02

%

13.77

%

Total Mortgage Assets

$

4,668,538

$

3,986,228

100.00

%

4.37

%

8.89

%

RMBS Assets by Agency

Investment Company Act of 1940 Whole Pool Test

($ in thousands)

($ in thousands)

Percentage

Percentage

Fair

of

Fair

of

Asset Category

Value(1)

Portfolio

Asset Category

Value(1)

Portfolio

As of August 31, 2017

As of August 31, 2017

Fannie Mae

$

2,665,070

66.9

%

Whole Pool Assets

$

3,342,352

83.8

%

Freddie Mac

1,314,175

32.9

%

Non-Whole Pool Assets

643,876

16.2

%

Ginnie Mae

6,983

0.2

%

Total Mortgage Assets

$

3,986,228

100.0

%

Total Mortgage Assets

$

3,986,228

100.0

%

(1) Amounts in the tables above exclude assets with a fair value of approximately $52.1 million sold in August 2017, which settle in September 2017.

Borrowings By Counterparty

($ in thousands)

Weighted

% of

Average

Total

Total

Maturity

Longest

As of August 31, 2017

Borrowings

Debt

in Days

Maturity

J.P. Morgan Securities LLC

$

626,182

16.3

%

186

8/10/2018

Citigroup Global Markets Inc

365,886

9.6

%

13

9/27/2017

Mirae Asset Securities (USA) Inc.

327,518

8.6

%

149

8/10/2018

ICBC Financial Services LLC

257,159

6.8

%

17

10/12/2017

Cantor Fitzgerald & Co

246,872

6.5

%

47

10/19/2017

Wells Fargo Bank, N.A.

242,611

6.4

%

10

9/11/2017

RBC Capital Markets, LLC

224,584

5.9

%

46

10/16/2017

Mitsubishi UFJ Securities (USA), Inc

207,565

5.5

%

47

10/23/2017

South Street Securities, LLC

173,614

4.6

%

12

9/25/2017

Merrill Lynch, Pierce, Fenner & Smith Incorporated

156,925

4.1

%

17

10/2/2017

ED&F Man Capital Markets Inc

152,651

4.0

%

18

10/6/2017

Nomura Securities International, Inc.

142,671

3.8

%

54

11/15/2017

Natixis, New York Branch

135,659

3.6

%

18

9/29/2017

Guggenheim Securities, LLC

114,013

3.0

%

16

9/29/2017

Goldman, Sachs & Co

109,319

2.9

%

27

10/13/2017

FHLB-Cincinnati

101,719

2.7

%

1

9/1/2017

Daiwa Securities America Inc.

95,345

2.5

%

11

9/14/2017

KGS-Alpha Capital Markets, L.P

66,963

1.8

%

129

8/14/2018

Mizuho Securities USA, Inc

25,686

0.7

%

25

9/25/2017

Lucid Cash Fund USG LLC

24,859

0.7

%

26

9/26/2017

Total Borrowings

$

3,797,801

100.0

%

64

8/14/2018

RMBS Risk Measures

($ in thousands)

Mortgage Assets

Weighted

Average

Weighted

Weighted

Modeled

Modeled

Months

Average

Average

Interest

Interest

To Next

Lifetime

Periodic

Rate

Rate

Fair

Coupon Reset

Cap

Cap Per Year

Sensitivity

Sensitivity

Asset Category

Value

(if applicable)

(if applicable)

(if applicable)

(-50 BPS)(1)

(+50 BPS)(1)

As of August 31, 2017

Adjustable Rate RMBS

$

1,916

8

10.04%

2.00

%

$

14

$

(13

)

Hybrid Adjustable Rate RMBS

42,474

65

7.55%

2.00

%

508

(620

)

Total Fixed Rate RMBS

3,793,456

n/a

n/a

n/a

45,020

(67,203

)

Total Pass-through RMBS

3,837,846

n/a

n/a

n/a

45,542

(67,836

)

Interest-Only Securities

91,684

n/a

n/a

n/a

(15,035

)

14,297

Inverse Interest-Only Securities

56,698

1

5.39%

n/a

1,089

(3,274

)

Structured RMBS

148,382

n/a

n/a

n/a

(13,946

)

11,023

Total Mortgage Assets

$

3,986,228

n/a

n/a

n/a

$

31,596

$

(56,813

)

Funding Hedges

Modeled

Modeled

Interest

Interest

Average

Hedge

Rate

Rate

Notional

Period

Sensitivity

Sensitivity

Balance(2)

End Date

(-50 BPS)(1)

(+50 BPS)(1)

Eurodollar Futures Contracts - Short Positions

$

978,571

Dec-2020

$

(11,243

)

$

17,125

Treasury Futures Contracts - Short Positions

115,000

Dec-2027

(4,801

)

4,207

Payer Swaps

1,010,000

Aug-2022

(14,993

)

14,993

Payer Swaption

100,000

Aug-2025

(582

)

1,376

TBA Short Positions

250,000

Sep-2017

(2,053

)

2,782

Total Hedges

(33,672

)

40,483

Grand Total

$

(2,076

)

$

(16,330

)

(1) Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant LIBOR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially.(2) Treasury futures contracts were valued at a price of $126.98 at August 31, 2017. The nominal contract value of the short position was $146.0 million.